Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0928
Annualized Std Dev 0.2645
Annualized Sharpe (Rf=0%) -0.3510

Row

Daily Return Statistics

Close
Observations 3519.0000
NAs 1.0000
Minimum -0.1678
Quartile 1 -0.0058
Median 0.0000
Arithmetic Mean -0.0002
Geometric Mean -0.0004
Quartile 3 0.0065
Maximum 0.1494
SE Mean 0.0003
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0003
Variance 0.0003
Stdev 0.0167
Skewness -0.9088
Kurtosis 19.2375

Downside Risk

Close
Semi Deviation 0.0126
Gain Deviation 0.0120
Loss Deviation 0.0153
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0127
Downside Deviation (0%) 0.0127
Maximum Drawdown 0.8556
Historical VaR (95%) -0.0237
Historical ES (95%) -0.0433
Modified VaR (95%) -0.0252
Modified ES (95%) -0.0448
From Trough To Depth Length To Trough Recovery
2007-06-05 2020-03-23 NA -0.8556 3474 3223 NA
2007-04-30 2007-05-01 2007-06-04 -0.0253 25 2 23
2007-04-17 2007-04-17 2007-04-20 -0.0029 4 1 3
2007-04-23 2007-04-23 2007-04-25 -0.0015 3 1 2
2007-04-03 2007-04-03 2007-04-05 -0.0005 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA 0 -0.4 1 1.1 -0.4 1 1 -0.4 1.3 1.9 6.2
2008 2.3 -1.8 3.7 1.7 0.5 1.6 0.7 0.9 5.2 6.5 -9 3.7 16
2009 0 -0.5 1.1 2.1 3 1.9 -0.1 -2.4 -0.2 -2 2 0.5 5.5
2010 1 1.5 2.2 -2 -1 -2.7 2.6 1.1 0.7 0 2.8 0.2 6.4
2011 1.3 -0.1 0.6 0.5 -0.1 1.3 1.7 -0.2 -3.2 -1.6 -0.9 0.3 -0.4
2012 1.8 1.8 0.8 0.4 -1.5 1.7 0.6 0.8 0.5 3.4 -0.6 0.4 10.4
2013 0.9 0.6 0.1 0.3 -1.1 2.5 0.7 -0.4 1.2 0.4 0.5 0.8 6.7
2014 -0.7 -0.1 0.1 0.4 1.3 0.7 -1.3 -0.2 -0.5 1 -0.7 1.2 1.1
2015 -1.2 0.4 -0.5 0.1 -0.3 0.6 -0.1 -1.7 0.2 0.8 0.7 0 -1.2
2016 -0.3 1.5 0.3 0.3 0.7 1.2 -0.2 -0.2 0.2 -0.9 0 0.2 2.8
2017 1.3 0.2 0.5 0.3 -1.5 -0.2 0.5 0.8 -0.2 -0.2 -1 0.2 0.7
2018 0 -0.7 1.2 -0.3 0.7 -0.5 0 0.2 0.8 1 -0.4 -1.3 0.6
2019 1 0.8 0.6 0.6 0 0.4 -0.2 1.1 -0.6 -0.9 -0.7 0.2 2.2
2020 -0.5 -2.7 -3.8 -2.5 0 1.4 -0.9 0.2 1.2 -2.2 1.8 0.4 -7.4
2021 0.8 1.7 -0.2 NA NA NA NA NA NA NA NA NA 2.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-03-28  20   SPY    142. -0.0073 -0.0103    0.0166   0.0076   0.0908    0.278    0.241 GLD    66.0  5.30e-3   0.0035
2 2007-03-29  20   SPY    142.  0.0011 -0.0085    0.0074   0.0028   0.0987    0.279    0.239 GLD    65.6 -6.10e-3  -0.0017
3 2007-03-30  20   SPY    142   0.0002 -0.0097    0.0106  -0.0036   0.0921    0.261    0.24  GLD    65.7  1.40e-3   0.0091
4 2007-04-02  20.0 SPY    142.  0.0011 -0.0073    0.0252  -0.0004   0.0952    0.258    0.241 GLD    65.8  1.70e-3   0.0002
5 2007-04-03  20   SPY    144.  0.0108  0.00580   0.0462   0.0146   0.107     0.270    0.261 GLD    65.8 -3.00e-4   0.002 
6 2007-04-04  20   SPY    144.  0.0011  0.0143    0.0297   0.0175   0.109     0.264    0.271 GLD    66.8  1.49e-2   0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart